"kk_code.zip" contains the code and data used in "How Reliable are Local Projection Estimators of Impulse Responses?" by Lutz Kilian and Yun Jung Kim.

** MATLAB code

- "irfsimulation_var1.m", "irfsimulation_var12.m", and "irfsimulation_varma.m" are the main programs for the VAR1, VAR12, and VARMA models, respectively.
- "varlagorder.m" and "lplagorder.m" select lag orders for VAR and LP. 
- "asybc.m" and "boot.m" are the subroutines for the Kilian bootstrap.
- "bcbootlp.m" and "bootbiaslp.m" are the subroutines for the bias-corrected LP bootstrap.
- "olsvar.m" estimates a VAR based using the OLS.
- "irfvar.m", "irfvar1.m", "irfvar_inf.m" estimate impulse response functions for VAR. 
- "irflp1.m", irflpest1.m" estimate impulse response functions for LP. 
- "irf_varma.m" estimates impulse response functions for VARMA. 
- "vec.m", "devec.m", "vech.m", "rows.m", "cols.m", "duplication.m", "commutation.m", "elimat.m" are for matrix manipulations.
- "MatrixFprintf.m" is for saving output into text files.


** DATA

- "data.csv" contains the data used the VAR12 model. 
  column 1: CFNAI, Federal Reserve Bank of Chicago
  column 2: Seasonally adjusted monthly CPI for all urban consumers, FRED
  column 3: Price index for raw industrials adjusted for CPI, Commodity Research Board
  column 4: Fed funds rate, FRED
